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One application of Welch's method is nonparametric system identification. Assume that H is a linear, time invariant system, and x ( n ) and y ( n ) are the input to and output of H , respectively.
The periodogram can be interpreted as filtering a length L signal, x_L(n) , through a filter bank (a set of filters in parallel) of L FIR bandpass filters. The 3 dB bandwidth of each of these
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